Stochastic integration w.r.t. continuous local martingales

Rajeeva L. Karandikar

Stochastic Processes and their Applications, 1983, vol. 15, issue 2, 203-209

Abstract: In this note we develop the theory of stochastic integration w.r.t. continuous local martingales using a simple time change technique. We allow progressively measurable integrands.

Keywords: Local; martingales; time; change; stochastic; integral (search for similar items in EconPapers)
Date: 1983
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